I do agree with lot of what has been said so far. Anyway I think ultimately if the WK got hold of the Ring, he would have handed it to Sauron. He does have will of his own but Nazgul are slave of the Ring and Sauron wield a power over them. It's hard to tell for sure what the WK would really have done, but I don't really see him challenging Sauron the Master of the Ring.